Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0306 |
| Annualized Std Dev | 0.2356 |
| Annualized Sharpe (Rf=0%) | -0.1299 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3600.0000 |
| NAs | 1.0000 |
| Minimum | -0.1592 |
| Quartile 1 | -0.0052 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0061 |
| Maximum | 0.1529 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.6851 |
| Kurtosis | 18.3029 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0131 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0111 |
| Downside Deviation (0%) | 0.0111 |
| Maximum Drawdown | 0.6457 |
| Historical VaR (95%) | -0.0210 |
| Historical ES (95%) | -0.0376 |
| Modified VaR (95%) | -0.0217 |
| Modified ES (95%) | -0.0308 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-09 | 2020-03-23 | NA | -0.6457 | 3492 | 3241 | NA |
| 2007-02-16 | 2007-03-05 | 2007-05-08 | -0.0510 | 56 | 11 | 45 |
| 2006-12-08 | 2007-01-08 | 2007-02-08 | -0.0239 | 41 | 19 | 22 |
| 2007-02-09 | 2007-02-13 | 2007-02-14 | -0.0024 | 4 | 3 | 1 |
| 2006-12-04 | 2006-12-05 | 2006-12-07 | -0.0020 | 4 | 2 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 | -0.7 | -0.6 |
| 2007 | -0.1 | -1 | -0.1 | -0.1 | 0.2 | 0.5 | -1.3 | 0.3 | 0.7 | -1.5 | 1.6 | 0.8 | -0.1 |
| 2008 | -0.7 | -1.8 | 2.8 | 1.4 | 0.2 | 0.1 | 0.4 | -0.3 | 1.6 | 8.1 | -7.7 | 4.2 | 8 |
| 2009 | -1.4 | -3.2 | 1.3 | 0.9 | 3.2 | 0.8 | 0.4 | -0.4 | -1.2 | -4.1 | 0.1 | 0.6 | -3.1 |
| 2010 | 2.2 | -0.3 | 1.6 | -1.6 | -1.8 | -1.1 | 2.1 | 1.2 | 0.6 | -0.1 | 0.9 | 0.2 | 3.8 |
| 2011 | 1.3 | -0.5 | 0.3 | 0.4 | -0.8 | 0.5 | 1.1 | -1.1 | -3.5 | -2.1 | 1 | 1.3 | -2 |
| 2012 | 1.3 | 0.7 | 0.2 | 0.6 | -2 | 2 | 0.4 | 0.3 | 0.6 | 1.8 | -0.1 | 1.1 | 7.1 |
| 2013 | 0.3 | 0.3 | 0 | -0.9 | -1.4 | 1.3 | 1.4 | 0 | 2.1 | 0.4 | 0.4 | -0.3 | 3.6 |
| 2014 | -0.2 | 0.1 | 0.4 | -0.4 | 0.8 | 1.1 | -1 | 0.4 | -0.5 | 0.9 | -1.9 | -1.6 | -1.9 |
| 2015 | -1.4 | 0.3 | -0.3 | 0.6 | 0.4 | 1.1 | 0.1 | -1.6 | 4.1 | 0.1 | 0.6 | -0.3 | 3.9 |
| 2016 | 0.2 | 2.6 | 1.2 | -1.1 | 0.9 | 0.5 | 0 | -0.2 | 1.6 | -0.7 | -0.6 | 0 | 4.4 |
| 2017 | 0.6 | 0.5 | -0.3 | 0.3 | 0.4 | 0.9 | -0.1 | 0 | 0.7 | -0.1 | 0.4 | -0.1 | 3.3 |
| 2018 | 0.6 | -1.5 | 1.2 | 0.5 | 0.7 | 0.3 | 0.2 | -0.5 | 0.3 | 1.2 | 0.4 | 0.9 | 4.4 |
| 2019 | -0.5 | 0.1 | 0.6 | 0.2 | -1.7 | 0 | -0.5 | 0.8 | -0.1 | 0.6 | -0.2 | 1.2 | 0.5 |
| 2020 | -0.6 | -3.9 | -5 | -2.1 | 1.1 | 0.5 | 0.2 | 0.6 | 0.7 | -1.2 | 0.6 | 0 | -9 |
| 2021 | 0.7 | 2 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-11-28 20 SPY 139. 0.0043 -0.0105 0.008 0.0646 0.101 0.307 0.204 GLD 63.6 -0.002 0.0291
2 2006-11-29 20.4 SPY 140. 0.0104 -0.00120 0.0193 0.0751 0.114 0.320 0.239 GLD 63.2 -0.0064 0.0143
3 2006-11-30 20.4 SPY 141. 0.0004 -0.0028 0.0199 0.0757 0.121 0.306 0.223 GLD 64.4 0.0195 0.0302
4 2006-12-01 20.4 SPY 140. -0.0022 -0.0009 0.0246 0.067 0.107 0.306 0.230 GLD 64.1 -0.0042 0.0098
5 2006-12-04 20.4 SPY 141. 0.0076 0.0207 0.033 0.0731 0.114 0.318 0.246 GLD 64.1 0 0.0066
6 2006-12-05 20.4 SPY 142. 0.0043 0.0207 0.0393 0.0873 0.121 0.319 0.231 GLD 63.8 -0.00480 0.0038
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
